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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Schedule of Fair Value of Assets and Liabilities Measured on Recurring Basis | The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of September 30, 2021 and December 31, 2020 (in thousands): Schedule of Fair Value of Assets and Liabilities Measured on Recurring Basis
|  | Fair valued measured at September 30, 2021 |
|  | Quoted prices in active markets (Level 1) |  |  | Significant other observable inputs (Level 2) |  |  | Significant unobservable inputs (Level 3) |  |  | Total |
Financial liabilities at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities |  | $ | - |  |  | $ | - |  |  | $ | 8,320 |  |  | $ | 8,320 |
Total financial liabilities at fair value |  | $ | - |  |  | $ | - |  |  | $ | 8,320 |  |  | $ | 8,320 |
|  | Fair valued measured at December 31, 2020 |
|  | Quoted prices in active markets (Level 1) |  |  | Significant other observable inputs (Level 2) |  |  | Significant unobservable inputs (Level 3) |  |  | Total |
Financial liabilities at fair value: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liabilities |  | $ | - |  |  | $ | - |  |  | $ | 22,686 |  |  | $ | 22,686 |
Total financial liabilities at fair value |  | $ | - |  |  | $ | - |  |  | $ | 22,686 |  |  | $ | 22,686 |
Schedule of Liability for Derivatives and Warrants | The following table presents changes in Level 3 liabilities measured at fair value (in thousands) for the nine months ended September 30, 2021. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Schedule of Liability for Derivatives and Warrants
|  | Warrant liabilities |
Fair value at December 31, 2020 |  | $ | 22,686 |
Change in fair value |  |  | 585 |
Redemption |  |  | (15,241 | )
Fair value at March 31, 2021 |  |  | 8,030 |
Change in fair value |  |  | 6,019 |
Fair value at June 30, 2021 |  |  | 14,049 |
Redemption |  |  | (1,239 | )
Change in fair value |  |  | (4,490 | )
Fair value at September 30, 2021 |  | $ | 8,320 |
Schedule of Warrant Liabilities, Change in Using Black Scholes to Monte Carlo Simulation Assumptions | The Company used a Black-Scholes model to estimate the fair value of the warrant liabilities at September 30, 2021 and December 31, 2020 using the following inputs: Schedule of Warrant Liabilities, Change in Using Black Scholes to Monte Carlo Simulation Assumptions
|  | September 30, 2021 |  |  | December 31, 2020 |
Fair value of underlying common shares |  | $ | 23.96 |  |  | $ | 28.00 |
Exercise price |  | $ | 9.25 |  |  | $ | 9.25 |
Expected dividend yield |  |  | — | % |  |  | — | %
Expected volatility |  |  | 49.4% - 52.0 | % |  |  | 73.9% - 75.1 | %
Weighted average expected volatility |  |  | 49.5 | % |  |  | 74.35 | %
Risk free interest rate |  |  | 0.05% - 0.05 | % |  |  | 0.10% - 0.11 | %
Weighted average risk free interest rate |  |  | 0.05 | % |  |  | 0.11 | %
Expected term (years) |  |  | 0.39 - 0.41 |  |  |  | 1.14 - 1.24 |
Weighted average expected term (years) |  |  | 0.40 |  |  |  | 1.19 |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19279-110258 + Details
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